Stock liquidity premium on the Tokyo stock exchange

Xin Zhong, Hitoshi Takehara

研究成果: Review article査読

抄録

The main purpose of this study is to examine whether the liquidity of firms listed on the Tokyo Stock Exchange is priced in Japanese stocks. We investigate the relationships between several types of illiquidity measures and realized stock returns by employing the portfolio formation method. We find that most of the illiquidity measures proposed in the previous literature are positively associated with stock returns. This study also examines the interrelationship among illiquidity measures, return momentum, and historical volatility. Different to the previous literature for Japanese stocks, this study finds that return spreads between illiquid and liquid portfolios are not always positive and statistically significant after controlling firms' book-to-market ratio. Thus, the liquidity premium overlaps the value premium and size premium in Japan. In addition, different types of illiquidity measures are quite differently related to momentum and volatility. Furthermore, these different associations with volatility and momentum can be explained to some extent by the book-to-market ratio.

本文言語English
ページ(範囲)14-28
ページ数15
ジャーナルJournal of Critical Reviews
7
12
DOI
出版ステータスPublished - 2020

ASJC Scopus subject areas

  • Biochemistry, Genetics and Molecular Biology(all)
  • Pharmacology, Toxicology and Pharmaceutics(all)

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